Exact Maximum Likelihood Estimation of Vector Arma Processes
The problems of evaluating and subsequently maximizing the exact likelihood function of vector autoregressive moving average (ARMA) models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful fea...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1989
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/757 |
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| Institution: | Singapore Management University |
| Language: | English |